Six Figure Investing ETF / Volatility Tool Box

  1. ETF Tools (e.g., AUM, flows
  2. VIX Futures Term Structure
  3. VIX Futures Short Interest
  4. VIX Index Term Structure (SPX option based)
  5. Graphical VIX Calculation
  6. Volatility Futures 2004—2017
  7. Volatility Tickers
  8. Ex-Dividend and Pay Dates for Lots of ETFs
  9. Option / VIX futures expiration calendars
  10. Free Option Charts
  11. Tradingview: charts with computations on symbols
  12. Volatility Indexes and Tickers

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6 thoughts on “Six Figure Investing ETF / Volatility Tool Box”

  1. Jones, I got Vance’s data for vix/vxv/xvz/xiv, and it’s clear to me that a simple binary xiv/cash strategy based on vix/vxv ratio does not cut the mustard. It is not as nuanced as the xvz approach of graded exposure to the indices based on the vix/vxv ratio values, and also it is lacking the medium term volatility index exposure which looks to be essential. For example I can see periods where the vix/vxv ratio is persistently less than 1 and XIV drops a lot, while XVZ stays solid due to medium term volatility exposure. So I am coming around to your idea of holding some XIV and XVZ at the same time and just hanging in there… Andrew

  2. Andrew, maybe go from XIV to VXX and vice versa. I think you should hold one of them at all time according to your new startegy (I still don’t know how do you know which values of vix and vxv or ratio is good for each position).

  3. Vance,
    Thanks for doing the work on this backtest. I’m especially interested in your simulated XIV values, because together with the published VIX and VXV values it would be possible to backtest a strategy where you go from XIV to cash whenever VIX exceeds VXV. Guess I’ll shoot you an email…

  4. Thank you very much, this is very helpful.
    Could you make the data available for download as an excel file? Perhpas just the daily values of the 3 indices?

    Would it be possible to post a percent change graph where all indices start at 0?

    • Hi Avi,
      Please send an email to [email protected] and I’ll send back an excel file with the values. From that you should be able to create the start at 0% version. Let me know if you have trouble. The simulation does not include the annual fee or interest from treasury bills.

      In exchange I would appreciate it if you would email me one or more topics you would like to see me cover in my blog.

      Best Regards, Vance


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